Functional inequalities for forward and backward diffusions
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Publication:2201508
Abstract: In this article we derive Talagrand's inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic differential equations with measurable drifts, backward stochastic differential equations, and the value process of optimal stopping problems. The proofs do not make use of the Girsanov method, but of pathwise arguments. These are used to show that all our processes of interest are Lipschitz transformations of processes which are known to satisfy desired functional inequalities.
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Cited in
(9)- Transportation cost inequality for backward stochastic differential equations with mean reflection
- Intertwining relations for one-dimensional diffusions and application to functional inequalities
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